Dear alla we are glad to announce the seminar of Barbara Vantaggi at the Department of Statistical Sciences of the University of Bologna The seminar is today July 6th 2023 at 4 pm.

A dynamic Choquet pricing rule with bid-ask spreads under ambiguity

We introduce a dynamic pricing rule allowing for frictions in the form of bid-ask spreads, by modeling “risk-neutral” uncertainty through belief functions.

The aim is to face pricing in a multi-period binomial market model under ambiguity. To this purpose, we introduce and characterize Dempster-Shafer multiplicative binomial processes together with the induced conditional Choquet expectation operator.

Next, we consider a market formed by a frictionless risk-free bond (whose price is modeled by a deterministic process) and a non-dividend paying stock with frictions (whose lower price is modeled by a Dempster Shafer multiplicative binomial process). In this market we prove an analog of the classical theorem of change of measure relying on the notion of equivalent one-step Choquet martingale belief function.

We then propose a dynamic Choquet pricing rule with bid-ask spreads showing that the discounted lower price process of a European derivative contract on the stock is a Choquet super-martingale. We also provide a normative justification in terms of a dynamic generalized no-arbitrage condition.

We finally discuss the connections of the introduced dynamic pricing rule with time-consistency and dynamic risk measures.

The talk is based on papers in collaboration with A.Cinfrignini and D. Petturiti

Here is the link to attend online:

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